Related papers: Using Column Generation to Solve Extensions to the…
A lot of problems, from fields like sparse signal processing, statistics, portfolio selection, and machine learning, can be formulated as a cardinality constraint optimization problem. The cardinality constraint gives the problem a discrete…
Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation error, they experience extreme weights together with high…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM), of the Limited Asset Mean…
We consider general nonlinear programming problems with cardinality constraints. By relaxing the binary variables which appear in the natural mixed-integer programming formulation, we obtain an almost equivalent nonlinear programming…
This paper investigates the column generation (CG) for solving cutting stock problems (CSP). Traditional CG method, which repeatedly solves a restricted master problem (RMP), often suffers from two critical issues in practice -- the loss of…
We propose a randomized method for solving linear programs with a large number of columns but a relatively small number of constraints. Since enumerating all the columns is usually unrealistic, such linear programs are commonly solved by…
We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the…
This paper studies a type of periodic utility maximization problems for portfolio management in incomplete stochastic factor models with convex trading constraints. The portfolio performance is periodically evaluated on the relative ratio…
This paper is concerned with portfolio optimization models for creating high-quality lists of recommended items to balance the accuracy and diversity of recommendations. However, the statistics (i.e., expectation and covariance of ratings)…
In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the…
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is…
The cardinality-constrained mean-variance portfolio problem has garnered significant attention within contemporary finance due to its potential for achieving low risk while effectively managing risks and transaction costs. Instead of…
This paper presents a new column-and-constraint generation method for two-stage robust mixed-integer programs with finite uncertainty sets. Our method combines and extends speed-up techniques used in previous column-and-constraint…
This paper makes the Millennium Prize problem P vs NP operational in quantitative finance by studying cardinality-constrained portfolio selection. Starting from the convex Markowitz mean-variance program with CAPM-based expected returns (Rf…
We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modification that can improve the outcome of the optimization process. The modification takes account of the entropic…
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs. Many methods have been proposed these last years to challenge the famous uni-period Markowitz strategy.But these methods cannot integrate…
The classical Markowitz mean-variance model uses variance as a risk measure and calculates frontier portfolios in closed form by using standard optimization techniques. For general mean-risk models such closed form optimal portfolios are…
This paper explores the practical approach to portfolio selection methods for investments. The study delves into portfolio theory, discussing concepts such as expected return, variance, asset correlation, and opportunity sets. It also…
We show that the Markowitz portfolio is a scalar multiple of another portfolio which replaces the covariance with the second moment matrix, via simple application of the Sherman-Morrison identity. Moreover it is shown that when using…